Investment Management and Optimization

The »Investment Management and Optimization« business area encompasses the holistic planning, management, and control of investment portfolios based on multiple criteria, the targeted management of risks, and the development of investment concepts and strategies. The focus here is on strategic asset allocation and investment management.

Another key area is the integration of sustainability issues into investment decisions in order to create added value that promotes both financial returns and a positive impact on society and the environment.

Vision/motto: We support investment decisions with intelligent algorithms, paying particular attention to sustainability aspects.

Projects

 

Strategic Asset Allocation (SAA) and Portfolio Optimization

Asset allocation refers to the distribution of assets across different asset classes. The framework is provided by the EU Solvency II guideline. On this basis, we have developed and implemented an innovative new approach to strategic asset allocation with R+V Lebensversicherung AG.

 

Valuation of Derivatives and Portfolio Optimization

The main focus of portfolio optimization is the determination of an optimal investment strategy at the financial market. In fact, the investor needs to decide how many proportions of which security paper to hold in order to maximize the benefit out of the final assets in the investment horizon.

 

Sustainable Finance

One of the main global issues is sustainability. In the financial sector, too, a separate sector has been formed under the name Sustainable Finance, which is becoming increasingly important.

Relevant Topics From Our Doctoral Students, Former Doctoral Students, and Postdocs

Modeling Aspects and Methods for Applications in the Energy Markets

Christoph Gärtner is conducting research.

Stochastic Optimization Problems in Trading with Renewable Energies

Research conducted by Ria Grindel.